17
H index
28
i10 index
1679
Citations
Stavros Degiannakis : Citation Profile
Bank of Greece (99% share) | RESEARCH PRODUCTION: 64 Articles 79 Papers 1 Books 7 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
19 years (2004 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Stavros Degiannakis. | Is cited by:
| Cites to:
|
Main data
Where Stavros Degiannakis has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 68 |
| Working Papers / Bank of Greece | 7 |
| BAFES Working Papers / Department of Accounting, Finance & Economic, Bournemouth University | 3 |
Recent works citing Stavros Degiannakis (2024 and 2023)
| Year | Title of citing document | |
|---|---|---|
| 2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
| 2023 | Oil and the Stock Market Revisited: A mixed functional VAR approach. (2023). Bjørnland, Hilde ; Cross, Jamie L ; Chang, Yoosoon ; Bjrnland, Hilde C. In: Working Papers. RePEc:bny:wpaper:0114. Full description at Econpapers || Download paper | |
| 2023 | Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8. Full description at Econpapers || Download paper | |
| 2023 | Energy News Shocks and their Propagation to Renewable and Fossil Fuels Use. (2023). Puch, Luis ; Guinea, Laurentiu ; Ruiz, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:37355. Full description at Econpapers || Download paper | |
| 2023 | Do Methane Gas Prices Interact with Stock Indices?. (2023). Wainberg, Dorin ; Iuga, Iulia Cristina ; Hada, Teodor ; Barbuta-Misu, Nicoleta. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:90-100. Full description at Econpapers || Download paper | |
| 2023 | Modeling and Mediating the Interaction between Oil Prices and Economic Sectors Advancement: The Case of Middle East. (2023). Samara, Husni ; Almaharmeh, Mohammaad ; Aladwan, Mohammad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-5. Full description at Econpapers || Download paper | |
| 2023 | The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review. (2023). Khan, Uzma ; Naushad, Mohammad ; Ahmed, Haseen ; Siddiqui, Taufeeque Ahmad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-63. Full description at Econpapers || Download paper | |
| 2023 | Relationship between Oil Prices and Russia Exchange Indices: Analysis of Frequency Causality. (2023). Muradzada, Imangulu ; Akbulaev, Nurkhodzha ; Hasanov, Ziyadhan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-64. Full description at Econpapers || Download paper | |
| 2023 | On the Time-varying Correlations and Hedging Effectiveness: An Analysis of Crude Oil, Gold, and Stock Market. (2023). Santhosh, P K ; Sahadudheen, I. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-37. Full description at Econpapers || Download paper | |
| 2023 | The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models. (2023). Catik, Nazif A ; Helmi, Mohamad Husam ; Akdeniz, Coskun ; Huyuguzel, Gul Serife ; Kosedagli, Begum Yurteri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-45. Full description at Econpapers || Download paper | |
| 2023 | On the identification of the oil-stock market relationship. (2023). Panagiotidis, Theodore ; Arampatzidis, Ioannis. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003947. Full description at Econpapers || Download paper | |
| 2023 | Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks?. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002163. Full description at Econpapers || Download paper | |
| 2023 | A corrected Clarke test for model selection and beyond. (2023). Min, Aleksey ; Fermanian, Jean-David ; Bruck, Florian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:105-132. Full description at Econpapers || Download paper | |
| 2024 | Machine learning in bank merger prediction: A text-based approach. (2024). Leledakis, George ; Fergadiotis, Manos ; Androutsopoulos, Ion ; Pyrgiotakis, Emmanouil G ; Katsafados, Apostolos G. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:783-797. Full description at Econpapers || Download paper | |
| 2023 | Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122. Full description at Econpapers || Download paper | |
| 2023 | Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953. Full description at Econpapers || Download paper | |
| 2023 | Multi-perspective investor attention and oil futures volatility forecasting. (2023). Li, Guo ; Qu, Hui. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000294. Full description at Econpapers || Download paper | |
| 2023 | Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312. Full description at Econpapers || Download paper | |
| 2023 | Oil price and the automobile industry: Dynamic connectedness and portfolio implications with downside risk. (2023). Kang, Sang Hoon ; Maitra, Debasish ; Jain, Prachi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s014098832300035x. Full description at Econpapers || Download paper | |
| 2023 | The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609. Full description at Econpapers || Download paper | |
| 2023 | The spillover effect between Chinese crude oil futures market and Chinese green energy stock market. (2023). Huo, Jiale ; Umar, Muhammad ; Li, Jingpeng. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s014098832300066x. Full description at Econpapers || Download paper | |
| 2023 | Dependence between the GCC energy equities, global clean energy and emission markets: Evidence from wavelet analysis. (2023). Nasir, Muhammad Ali ; Chaudhuri, Kausik ; Alkathery, Mohammed A. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001573. Full description at Econpapers || Download paper | |
| 2023 | Managerial performance and oil price shocks. (2023). Zhang, Qin ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002621. Full description at Econpapers || Download paper | |
| 2023 | Climate change and fossil fuel prices: A GARCH-MIDAS analysis. (2023). Salisu, Afees ; Nmadu, Yaaba B ; Tumala, Mohammed M. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002906. Full description at Econpapers || Download paper | |
| 2023 | A new multilayer network for measuring interconnectedness among the energy firms. (2023). Zhang, Xiaotong ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s014098832300378x. Full description at Econpapers || Download paper | |
| 2023 | Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event. (2023). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Lang, Chunlin ; Hu, Yang. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003274. Full description at Econpapers || Download paper | |
| 2023 | Big oil in the transition or Green Paradox? A capital market approach. (2023). Todorova, Neda ; Baur, Dirk G. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003353. Full description at Econpapers || Download paper | |
| 2023 | Network connectedness between Chinas crude oil futures and sector stock indices. (2023). Fan, Ying ; Liu, Bing-Yue ; Wang, Zi-Xin. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003468. Full description at Econpapers || Download paper | |
| 2023 | Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets. (2023). Uddin, Gazi ; Yahya, Muhammad ; Okhrin, Yarema. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003511. Full description at Econpapers || Download paper | |
| 2023 | Forecasting crude oil futures price using machine learning methods: Evidence from China. (2023). Huang, Xinya ; Guo, Lili ; Li, Houjian. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s014098832300587x. Full description at Econpapers || Download paper | |
| 2023 | Forecasting crude oil price returns: Can nonlinearity help?. (2023). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024756. Full description at Econpapers || Download paper | |
| 2023 | Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385. Full description at Econpapers || Download paper | |
| 2023 | The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395. Full description at Econpapers || Download paper | |
| 2023 | Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045. Full description at Econpapers || Download paper | |
| 2023 | Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136. Full description at Econpapers || Download paper | |
| 2023 | An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145. Full description at Econpapers || Download paper | |
| 2023 | Correlation versus co-fractality: Evidence from foreign-exchange-rate variances. (2023). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000479. Full description at Econpapers || Download paper | |
| 2023 | Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844. Full description at Econpapers || Download paper | |
| 2023 | Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets. (2023). Wang, Jiqian ; Huang, Yisu ; Ding, Hui. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001369. Full description at Econpapers || Download paper | |
| 2023 | Investigating the nature of interaction between crypto-currency and commodity markets. (2023). Bouazizi, Tarek ; Makrychoriti, Panagiota ; Guesmi, Khaled ; Galariotis, Emilios. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002065. Full description at Econpapers || Download paper | |
| 2023 | Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247. Full description at Econpapers || Download paper | |
| 2023 | Examining the volatility of soybean market in the MIDAS framework: The importance of bagging-based weather information. (2023). Xu, Weiju ; Ma, Weichun ; Wu, Rui ; Wang, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002363. Full description at Econpapers || Download paper | |
| 2023 | Non-linear relationship between oil and cryptocurrencies: Evidence from returns and shocks. (2023). Shah, Adil Ahmad ; Yarovaya, Larisa ; Abrar, Afsheen ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002855. Full description at Econpapers || Download paper | |
| 2023 | State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880. Full description at Econpapers || Download paper | |
| 2023 | Chinese agricultural futures volatility: New insights from potential domestic and global predictors. (2023). Huang, Dengshi ; Su, Yuandong ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003022. Full description at Econpapers || Download paper | |
| 2023 | How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079. Full description at Econpapers || Download paper | |
| 2023 | Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?. (2023). Mangalagiri, Jayasree ; Rayadurgam, Vikram Chandramouli. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000818. Full description at Econpapers || Download paper | |
| 2023 | Fresh evidence on the oil-stock interactions under heterogeneous market conditions. (2023). Garg, Bhavesh ; Chowdhury, Kushal Banik. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001009. Full description at Econpapers || Download paper | |
| 2023 | Time-frequency relationship between energy imports, energy prices, exchange rate, and policy uncertainties in India: Evidence from wavelet quantile correlation approach. (2023). Gopinathan, R ; Jalal, Rubia. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003525. Full description at Econpapers || Download paper | |
| 2023 | Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets. (2023). McMillan, David G ; Kambouroudis, Dimos ; Korkusuz, Burak. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003641. Full description at Econpapers || Download paper | |
| 2023 | Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519. Full description at Econpapers || Download paper | |
| 2023 | Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Jiang, Cheng ; Chauvet, Marcelle. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000989. Full description at Econpapers || Download paper | |
| 2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper | |
| 2023 | International stock volatility predictability: New evidence from uncertainties. (2023). Wu, Lan ; Wang, Tianyang ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000495. Full description at Econpapers || Download paper | |
| 2023 | Forecasting crude oil market volatility using variable selection and common factor. (2023). Wang, Yudong ; Wahab, M. I. M., ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502. Full description at Econpapers || Download paper | |
| 2023 | Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility. (2023). Liang, Chao ; Wang, Yudong ; He, Mengxi ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1318-1332. Full description at Econpapers || Download paper | |
| 2023 | Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1804-1819. Full description at Econpapers || Download paper | |
| 2023 | International stock market volatility: A data-rich environment based on oil shocks. (2023). Wen, Fenghua ; Wang, Tianyang ; Ma, Feng ; Lu, Xinjie. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:214:y:2023:i:c:p:184-215. Full description at Econpapers || Download paper | |
| 2023 | How economic uncertainty influences the performance of investor perceptions and behavior. (2023). Iatridis, George Emmanuel ; Persakis, Antonios. In: Journal of International Accounting, Auditing and Taxation. RePEc:eee:jiaata:v:51:y:2023:i:c:s1061951823000204. Full description at Econpapers || Download paper | |
| 2023 | Business cycle synchronization and African monetary union: A wavelet analysis. (2023). Fouda, Lucien Cedric ; Gandjon, Gislain Stephane. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:77:y:2023:i:c:s0164070423000277. Full description at Econpapers || Download paper | |
| 2023 | Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets. (2023). Vigne, Samuel A ; Lucey, Brian M ; Wang, Yizhi ; Wei, YU. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000629. Full description at Econpapers || Download paper | |
| 2023 | Realized higher-order moments spillovers between commodity and stock markets: Evidence from China. (2023). Xu, Yahua ; Gao, Wang ; Bouri, Elie ; Jin, Chen ; Zhang, Hongwei. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000320. Full description at Econpapers || Download paper | |
| 2023 | The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423. Full description at Econpapers || Download paper | |
| 2023 | Dynamic connectedness between crude oil and equity markets: What about the effects of firms solvency and profitability positions?. (2023). Balli, Faruk ; Ha, Thi Thu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000387. Full description at Econpapers || Download paper | |
| 2023 | How susceptible is the European financial stability to economic policy uncertainty?. (2023). Orlowski, Lucjan T. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:4:p:864-875. Full description at Econpapers || Download paper | |
| 2023 | Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Tchankam, Jean Paul ; Omoke, Philip C. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979. Full description at Econpapers || Download paper | |
| 2023 | Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches. (2023). Vo, Xuan Vinh ; Al-Yahyaee, Khamis Hamed ; Ur, Mobeen ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006043. Full description at Econpapers || Download paper | |
| 2023 | Economic recovery through multisector management resources in small and medium businesses in China. (2023). Chok, Nyen Vui ; Cheok, Mui Yee ; Ma, Cong. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006249. Full description at Econpapers || Download paper | |
| 2023 | Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective. (2023). Zhao, Chenchen ; Huang, Dengshi ; Xu, Weiju. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006705. Full description at Econpapers || Download paper | |
| 2023 | Time-varying effects of fuel prices on stock market returns during COVID-19 outbreak. (2023). Hunjra, Ahmed ; Tiwari, Aviral Kumar ; Younes, Ben Zaied ; Duppati, Geeta. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000259. Full description at Econpapers || Download paper | |
| 2023 | Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach. (2023). Ozkan, Oktay ; Saleem, Asima ; Khan, Nasir. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000636. Full description at Econpapers || Download paper | |
| 2023 | The role of stock markets in the US, Europe, and China on oil prices before and after the COVID-19 announcement. (2023). Javad, Seyed Mohammad ; Razmi, Seyedeh Fatemeh. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000946. Full description at Econpapers || Download paper | |
| 2023 | Risk co-movements and portfolio strategies between energy, gold and BRICS markets. (2023). Shah, Waheed Ullah ; Younis, Ijaz ; Longsheng, Cheng ; Qureshi, Fiza ; Hkiri, Besma. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001952. Full description at Econpapers || Download paper | |
| 2023 | Hidden causality between oil prices and exchange rates. (2023). An, Feng ; Wu, Tao ; Wang, ZE ; Gao, Xiangyun. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002209. Full description at Econpapers || Download paper | |
| 2023 | Measuring the frequency and quantile connectedness between policy categories and global oil price. (2023). Liu, Hongxiao ; Nong, Huifu. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723002763. Full description at Econpapers || Download paper | |
| 2023 | The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching. (2023). Ma, Feng ; Tang, Yusui. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239. Full description at Econpapers || Download paper | |
| 2023 | Shock transmission between crude oil prices and stock markets. (2023). Esparcia, Carlos ; Jareo, Francisco ; Koczar, Monika W ; Escribano, Ana. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004658. Full description at Econpapers || Download paper | |
| 2023 | Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash. (2023). Tedeschi, Marco ; Zhang, Anqi ; Tarczyska-Uniewska, Magorzata ; Mallek, Sabrine ; Si, Kamel. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005093. Full description at Econpapers || Download paper | |
| 2023 | Sustainable development during the post-COVID-19 period: Role of crude oil. (2023). Liang, Chao ; Peng, Lijuan. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005548. Full description at Econpapers || Download paper | |
| 2023 | On the transmission of oil supply and demand shocks to CO2 emissions in the US by considering uncertainty: A time-varying perspective. (2023). SAADAOUI, Zied ; Boufateh, Talel ; Jiao, Zhilun. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723007420. Full description at Econpapers || Download paper | |
| 2023 | Do oil and natural gas prices affect carbon efficiency? Daily evidence from China by wavelet transform-based approaches. (2023). Caglar, Abdullah Emre ; Karlilar, Selin ; Kartal, Mustafa Tevfik ; Zafar, Muhammad Wasif ; Pata, Ugur Korkut ; Liu, Haiying. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s030142072300750x. Full description at Econpapers || Download paper | |
| 2023 | Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis. (2023). Mishra, Sibanjan ; Bhattacherjee, Purba ; Kang, Sang Hoon. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008413. Full description at Econpapers || Download paper | |
| 2023 | Oil shocks and investor attention. (2023). Panagiotidis, Theodore ; Bampinas, Georgios ; Papapanagiotou, Georgios. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:68-81. Full description at Econpapers || Download paper | |
| 2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper | |
| 2023 | Role of renewable energy investment and geopolitical risk in green finance development: Empirical evidence from BRICS countries. (2023). Chang, Lei ; Lin, Huifang ; Zhou, Jianwen ; Wu, Hao ; Dong, Chunlong. In: Renewable Energy. RePEc:eee:renene:v:207:y:2023:i:c:p:234-241. Full description at Econpapers || Download paper | |
| 2023 | Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic. (2023). Filis, George ; Antonakakis, Nikolaos ; Gabauer, David ; Cunado, Juncal ; de Gracia, Fernando Perez. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:114-123. Full description at Econpapers || Download paper | |
| 2023 | Oil market shocks and financial instability in Asian countries. (2023). Dagher, Leila ; Hasanov, Fakhri J. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:182-195. Full description at Econpapers || Download paper | |
| 2023 | Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network. (2023). Abedin, Mohammad Zoynul ; Fisher, Ben ; Hajek, Petr ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002495. Full description at Econpapers || Download paper | |
| 2023 | Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks. (2023). Sahut, Jean-Michel ; Gaies, Brahim ; Nakhli, Mohamed Sahbi ; Kanzari, Dalel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000387. Full description at Econpapers || Download paper | |
| 2023 | Border disputes, conflicts, war, and financial markets research: A systematic review. (2023). Pandey, Dharen ; Kumar, Satish ; Lucey, Brian M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000983. Full description at Econpapers || Download paper | |
| 2023 | Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index. (2023). Zhang, Yaojie ; Zeng, Qing ; Wang, Yudong ; He, Mengxi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001095. Full description at Econpapers || Download paper | |
| 2023 | Do Futures Prices Help Forecast Spot Prices? Evidence from China’s New Live Hog Futures. (2023). Cao, Jia ; Li, Miao ; Xiong, Tao. In: Agriculture. RePEc:gam:jagris:v:13:y:2023:i:9:p:1663-:d:1223105. Full description at Econpapers || Download paper | |
| 2023 | The Effects of Crude Oil Price Surprises on National Income: Evidence from India. (2023). Babu, Manivannan ; Dana, Leo Paul ; Maniam, Balasundram ; Selvam, Murugesan ; Kathiravan, Chinnadurai. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1148-:d:1042450. Full description at Econpapers || Download paper | |
| 2023 | Dependence Analysis for the Energy Sector Based on Energy ETFs. (2023). Gorka, Joanna ; Kuziak, Katarzyna. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1329-:d:1047966. Full description at Econpapers || Download paper | |
| 2023 | Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Panagiotidis, Minas ; Oikonomou, Georgios ; Dokas, Ioannis. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891. Full description at Econpapers || Download paper | |
| 2023 | Oil Price and Composite Risk Exposure within International Capital Asset Pricing Model: A Case of Saudi Arabia and Turkey. (2023). Tuna, Gulcay ; Taha, Amjad. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:7:p:3103-:d:1110401. Full description at Econpapers || Download paper | |
| 2023 | Time-Varying Relation between Oil Shocks and European Stock Market Returns. (2023). Kizys, Renatas ; Jimenez-Rodriguez, Rebeca ; Castro, Cesar. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:174-:d:1088260. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Stavros Degiannakis:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data In: The Energy Journal. [Full Text][Citation analysis] | article | 129 |
| 2014 | The effects of oil price shocks on stock market volatility: Evidence from European data.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 129 | paper | |
| 2018 | Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence In: The Energy Journal. [Full Text][Citation analysis] | article | 106 |
| 2018 | Oil prices and stock markets: A review of the theory and empirical evidence.(2018) In: BAFES Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | paper | |
| 2018 | Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | paper | |
| 2021 | Oil price volatility is effective in predicting food price volatility. Or is it? In: The Energy Journal. [Full Text][Citation analysis] | article | 3 |
| 2022 | Forecasting the Oil Volatility Index Using Factors of Uncertainty In: Asian Journal of Economics and Empirical Research. [Full Text][Citation analysis] | article | 0 |
| 2018 | Oil Price Shocks and Uncertainty: How stable is their relationship over time? In: BAFES Working Papers. [Full Text][Citation analysis] | paper | 71 |
| 2018 | Oil price shocks and uncertainty: How stable is their relationship over time?.(2018) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 71 | article | |
| 2018 | Oil Price Shocks and Uncertainty: How stable is their relationship over time?.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 71 | paper | |
| 2018 | Forecasting European Economic Policy Uncertainty In: BAFES Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2019 | Forecasting European economic policy uncertainty.(2019) In: Scottish Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2019 | Forecasting European Economic Policy Uncertainty.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2014 | A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification In: Manchester School. [Full Text][Citation analysis] | article | 3 |
| 2014 | A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2014 | Business Cycle Synchronization in EU: A Time-Varying Approach In: Scottish Journal of Political Economy. [Full Text][Citation analysis] | article | 28 |
| 2014 | Business Cycle Synchronisation in EU: A time-varying approach.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
| 2013 | Oil price shocks and stock market volatility: evidence from European data In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Return dispersion, stock market liquidity and aggregate economic activity In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Oil price shocks and volatility do predict stock market regimes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | The D-model for GDP nowcasting In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2023 | The D-model for GDP nowcasting.(2023) In: Swiss Journal of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Superkurtosis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Superkurtosis.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Superkurtosis.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Superkurtosis.(2023) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | Forecasting VIX: The illusion of forecast evaluation criteria In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Forecasting VIX: the illusion of forecast evaluation criteria.(2023) In: Economics and Business Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2007 | Backtesting VaR Models: An Expected Shortfall Approach In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2005 | Evaluating volatility forecasts in option pricing in the context of a simulated options market In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
| 2005 | Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2013 | Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process In: Economic Modelling. [Full Text][Citation analysis] | article | 11 |
| 2013 | Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2013 | Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2016 | Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? In: Economic Modelling. [Full Text][Citation analysis] | article | 13 |
| 2014 | Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2018 | Forecasting global stock market implied volatility indices In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2023 | Oil price assumptions for macroeconomic policy In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Oil price assumptions for macroeconomic policy.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Forecasting oil prices: High-frequency financial data are indeed useful In: Energy Economics. [Full Text][Citation analysis] | article | 27 |
| 2019 | Futures-based forecasts: How useful are they for oil price volatility forecasting? In: Energy Economics. [Full Text][Citation analysis] | article | 11 |
| 2019 | Futures-based forecasts: How useful are they for oil price volatility forecasting?.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2020 | Oil and pump prices: Testing their asymmetric relationship in a robust way In: Energy Economics. [Full Text][Citation analysis] | article | 4 |
| 2011 | Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 433 |
| 2011 | Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 433 | paper | |
| 2013 | Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 17 |
| 2013 | Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2016 | Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 86 |
| 2015 | Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2017 | Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries.(2017) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2017 | Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 10 |
| 2016 | Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2021 | Forecasting oil price volatility using spillover effects from uncertainty indices In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
| 2015 | US stock market regimes and oil price shocks In: Global Finance Journal. [Full Text][Citation analysis] | article | 33 |
| 2015 | US stock market regimes and oil price shocks.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
| 2016 | Intra-day realized volatility for European and USA stock indices In: Global Finance Journal. [Full Text][Citation analysis] | article | 8 |
| 2015 | Intra-Day Realized Volatility for European and USA Stock Indices.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2018 | Multiple days ahead realized volatility forecasting: Single, combined and average forecasts In: Global Finance Journal. [Full Text][Citation analysis] | article | 6 |
| 2018 | Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2008 | Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 22 |
| 2008 | Volatility forecasting: Intra-day versus inter-day models.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2013 | Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 84 |
| 2013 | Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
| 2022 | Forecasting realized volatility of agricultural commodities In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 12 |
| 2019 | Forecasting Realized Volatility of Agricultural Commodities.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2022 | Oil price volatility forecasts: What do investors need to know? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 4 |
| 2019 | Oil price volatility forecasts: What do investors need to know?.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2017 | Forecasting oil price realized volatility using information channels from other asset classes In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 145 |
| 2017 | Forecasting oil price realized volatility using information channels from other asset classes.(2017) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 145 | paper | |
| 2013 | Modeling CAC40 volatility using ultra-high frequency data In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 5 |
| 2013 | Modeling CAC40 Volatility Using Ultra-high Frequency Data.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Hedge fund returns under crisis scenarios: A holistic approach In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 3 |
| 2016 | Hedge Fund Returns under Crisis Scenarios: A Holistic Approach.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2017 | The one-trading-day-ahead forecast errors of intra-day realized volatility In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | The one-trading-day-ahead forecast errors of intra-day realized volatility.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 1 | |
| 2014 | Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices In: Journal of Economic Studies. [Full Text][Citation analysis] | article | 1 |
| 2014 | Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices In: Journal of Economic Studies. [Full Text][Citation analysis] | article | 3 |
| 2014 | Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2005 | Modeling risk for long and short trading positions In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 4 |
| 2005 | Modeling Risk for Long and Short Trading Positions.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2015 | A Probit Model for the State of the Greek GDP Growth In: IJFS. [Full Text][Citation analysis] | article | 0 |
| 2015 | A Probit Model for the State of the Greek GDP Growth.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors expectations regarding permanent earnings? Evidence from Athens Stock Exchange In: International Journal of Computational Economics and Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2009 | Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors’ expectations regarding permanent earnings? Evidence from Athens Stock Exchange.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | Earnings management to avoid losses and earnings declines in Croatia In: International Journal of Computational Economics and Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2017 | Earnings Management to Avoid Losses and Earnings Declines in Croatia.(2017) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2009 | Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets In: International Journal of Financial Markets and Derivatives. [Full Text][Citation analysis] | article | 0 |
| 2009 | Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2007 | A robust VaR model under different time periods and weighting schemes In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 31 |
| 2007 | A Robust VaR Model under Different Time Periods and Weighting Schemes.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2015 | Modelling and Forecasting High Frequency Financial Data In: Palgrave Macmillan Books. [Citation analysis] | book | 7 |
| 2015 | Introduction to High Frequency Financial Modelling In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2015 | Intraday Realized Volatility Measures In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2015 | Methods of Volatility Estimation and Forecasting In: Palgrave Macmillan Books. [Citation analysis] | chapter | 1 |
| 2015 | Multiple Model Comparison and Hypothesis Framework Construction In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2015 | Realized Volatility Forecasting: Applications In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2015 | Recent Methods: A Review In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2015 | Intraday Hedge Ratios and Option Pricing In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2020 | On the Stationarity of Futures Hedge Ratios In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2022 | On the stationarity of futures hedge ratios.(2022) In: Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | What should be taken into consideration when forecasting oil implied volatility index? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Stock market as a nowcasting indicator for real investment In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Stock market as a nowcasting indicator for real investment.(2022) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2013 | Time-varying Business Cycles Synchronisation in Europe In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Real-time monitoring of carbon monoxide using value-at-risk measure and control charting.(2017) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2013 | Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors.(2016) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | Forecasting Tourist Arrivals Using Origin Country Macroeconomics In: MPRA Paper. [Full Text][Citation analysis] | paper | 15 |
| 2016 | Forecasting tourist arrivals using origin country macroeconomics.(2016) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2016 | Forecasting oil price realized volatility: A new approach In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Investments and uncertainty revisited: The case of the US economy In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Investments and uncertainty revisited: the case of the US economy.(2017) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | Forecasting implied volatility indices worldwide: A new approach In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Forecasting oil prices In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Volatility forecasting: intra-day vs. inter-day models In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence In: MPRA Paper. [Full Text][Citation analysis] | paper | 12 |
| 2008 | Rolling-sampled parameters of ARCH and Levy-stable models In: MPRA Paper. [Full Text][Citation analysis] | paper | 5 |
| 2008 | Rolling-sampled parameters of ARCH and Levy-stable models.(2008) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2008 | ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling In: MPRA Paper. [Full Text][Citation analysis] | paper | 19 |
| 2008 | ARFIMAX and ARFIMAX-TARCH realized volatility modeling.(2008) In: Journal of Applied Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
| 2005 | Predictability and Model Selection in the Context of ARCH Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Predictability and model selection in the context of ARCH models.(2005) In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2004 | Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review In: MPRA Paper. [Full Text][Citation analysis] | paper | 19 |
| 2004 | Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment In: MPRA Paper. [Full Text][Citation analysis] | paper | 64 |
| 2018 | Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component. In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Can spillover effects provide forecasting gains? The case of oil price volatility In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Hedge Ratios in South African Stock Index Futures In: MPRA Paper. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Hedge Ratios in South African Stock Index Futures.(2010) In: Journal of Emerging Market Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2010 | VIX Index in Interday and Intraday Volatility Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Forecasting Vix In: MPRA Paper. [Full Text][Citation analysis] | paper | 6 |
| 2008 | SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2007 | Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models.(2007) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2007 | Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model In: MPRA Paper. [Full Text][Citation analysis] | paper | 39 |
| 2004 | Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model.(2004) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | article | |
| 2004 | The Use of GARCH Models in VaR Estimation In: MPRA Paper. [Full Text][Citation analysis] | paper | 89 |
| 2019 | Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2021 | Oil and currency volatilities: Co?movements and hedging opportunities In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 1 |
| 2022 | What matters when developing oil price volatility forecasting frameworks? In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team